Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the

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Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the index was estimated as 1% per day at that time. The parameters in a GARCH(1,1) model are w = 0.000002, a = 0.06, and p =

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the index was estimated as 1% per day at that time. The parameters in a GARCH(1,1) model are w = 0.000002, a =...
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Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the

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Options Futures And Other Derivatives

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